Algorithm: Arfit | a Matlab Package for Estimation and Spectral Decomposition of Multivariate Autoregressive Models
نویسندگان
چکیده
ARfit is a collection of Matlab routines for modeling multivariate time series by autoregressive (AR) models. It provides tools for all stages of the model identiication process: statistics that aid in the selection of the model order, fast algorithms for least squares estimation of parameters, modules that produce approximate conndence regions for the estimated parameters, and routines for diagnostic checking of a tted model. Furthermore, methods for the spectral analysis of AR models are implemented, and, as a supplement, ARfit contains a program for the Monte-Carlo simulation of AR processes.
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